Optimal and better transport plans
Abstract
We consider the Monge-Kantorovich transport problem in a purely measure theoretic setting, i.e. without imposing continuity assumptions on the cost function. It is known that transport plans which are concentrated on c-monotone sets are optimal, provided the cost function c is either lower semi-continuous and finite, or continuous and may possibly attain the value infty. We show that this is true in a more general setting, in particular for merely Borel measurable cost functions provided that {c=infty} is the union of a closed set and a negligible set. In a previous paper Schachermayer and Teichmann considered strongly c-monotone transport plans and proved that every strongly c-monotone transport plan is optimal. We establish that transport plans are strongly c-monotone if and only if they satisfy a "better" notion of optimality called robust optimality.
Keywords
Cite
@article{arxiv.0802.0646,
title = {Optimal and better transport plans},
author = {Mathias Beiglböck and Martin Goldstern and Gabriel Maresch and Walter Schachermayer},
journal= {arXiv preprint arXiv:0802.0646},
year = {2009}
}
Comments
25 pages